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Representation formulas for Malliavin derivatives of diffusion processes

Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - In: Finance and stochastics 9 (2005) 3, pp. 349-367

Persistent link: https://www.econbiz.de/10002946698

Closed-form solutions for optimal portfolio selection with stochastic interest rate and investment constraints

Detemple, Jérôme B.; Rindisbacher, Marcel - In: Mathematical finance : an international journal of … 15 (2005) 4, pp. 539-568

Persistent link: https://www.econbiz.de/10003121127

On American VIX options under the generalized 3/2 and 1/2 models

Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 550-581

Persistent link: https://www.econbiz.de/10011969085

The value of green energy : optimal investment in mutually exclusive projects and operating leverage

Detemple, Jérôme B.; Kitapbayev, Yerkin - In: The review of financial studies 33 (2020) 7, pp. 3307-3347

Persistent link: https://www.econbiz.de/10012248922

Renewable energy investment under stochastic interest rate with regime-switching volatility

Detemple, Jérôme B.; Kitapbayev, Yerkin; Reppen, A. Max - In: Energy economics 136 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015046931

A note on hedging in ARCH and stochastic volatility option pricing models

Garcia, René - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 153-161

Persistent link: https://www.econbiz.de/10001242838

Asymmetic smiles, leverage effects and structural parameters

Garcia, René; Luger, Richard; Renault, Eric - 2000

Persistent link: https://www.econbiz.de/10001549285

Asymmetric smiles, leverage effects and structural parameters

Garcia, René; Luger, Richard; Renault, Eric - 2001

Persistent link: https://www.econbiz.de/10001614502

The stochastic discount factor : extending the volatility bound and a new approach to portfolio selection with higher-order moments

Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - 2005

Persistent link: https://www.econbiz.de/10002655756

Assessing Misspecifications in Asset Pricing Models with Nonlinear Projections of Pricing Kernels

Almeida, Caio - 2010

We develop a new approach to evaluate asset pricing models (APMs) based on Minimum Discrepancy (MD) projections that generalize the Hansen-Jagannathan (HJ, 1997) distance to account for an arbitrary number of moments of asset returns. The Minimum Discrepancy projections correct APMs to become...

Persistent link: https://www.econbiz.de/10013147434